Global Uncertainty and Exchange Rate Volatility

Home Page
About
Submit A Journal
Submit A Conference
Submit Paper/Book
- Submit a Preprint
- Submit a Book
Contact

Ekoist: Journal of Econometrics and Statistics
Issue:37
Global Uncertainty and Exchange Rate Volatility

Global Uncertainty and Exchange Rate Volatility

Authors : Oğuz TÜMTÜRK

Pages : 69-84

Doi:10.26650/ekoist.2022.37.1112795

View : 22 | Download : 6

Publication Date : 2022-12-29

Article Type : Research Paper

Abstract :This paper investigates the impact of global uncertainty on Turkey\`s exchange rate volatility via quantile regression approach. Using quantile regression approach, estimated uncertainty coefficients are allowed to differ over quantiles of the exchange rate volatility. The EGARCH model is the best fit for measuring exchange rate volatility due to the fact that exchange rate series exhibit “asymmetric volatility”. In this study we employed global economic policy uncertainty index- GEPU constructed by Baker et al. insert ignore into journalissuearticles values(2013); as a proxy of global uncertainty. Empirical results suggest that higher volatility of exchange rate is associated with a greater positive shock of GEPU. However, estimated parameters are statistically significant at lower exchange rate volatility since the CBRT intervenes the foreign exchange markets and restricts the excessive fluctuations in exchange rates to achieve financial stability.
Keywords : Economic Policy Uncertainty, Exchange Rate Volatility, Quantile Regression

ORIGINAL ARTICLE URL

* There may have been changes in the journal, article,conference, book, preprint etc. informations. Therefore, it would be appropriate to follow the information on the official page of the source. The information here is shared for informational purposes. IAD is not responsible for incorrect or missing information.